Multi-scale tests for serial correlation
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Publication:473345
DOI10.1016/J.JECONOM.2014.08.002zbMATH Open1332.62297OpenAlexW2107781784MaRDI QIDQ473345FDOQ473345
Authors: Daniele Signori, Ramazan Gençay 
Publication date: 24 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.08.002
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waveletsserial correlationindependencevariance decompositiondiscrete wavelet transformationmaximum overlap wavelet transformationvariance ratio test
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes and spectral analysis (62M15)
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Cited In (15)
- Tests for serial correlation of unknown form in dynamic least squares regression with wavelets
- Wavelet goodness-of-fit test for dependent data
- ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
- Long-run wavelet-based correlation for financial time series
- Statistical tests of distributional scaling properties for financial return series
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- Multifrequency-Band Tests for White Noise Under Heteroscedasticity
- Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
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- Estimation of long memory in volatility using wavelets
- Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the euro area
- Amplitude and phase synchronization of European business cycles: a wavelet approach
- Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes
- Model-free tests for series correlation in multivariate linear regression
- On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators
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